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Hedging exchange rate risk : the multiperiod case

Broll, Udo; Wahl, Jack E.; Zilcha, Itzhak - 1999

Persistent link: https://www.econbiz.de/10001387207

Dynamic hedging in currency crisis

Krüger, Malte - In: Economics letters 62 (1999) 3, pp. 347-350

Persistent link: https://www.econbiz.de/10001398751

International asset allocation with time-varying correlations

Ang, Andrew; Bekaert, Geert - 1999

Persistent link: https://www.econbiz.de/10001379604

Hedging of credit risk embedded in derivative transactions

Greenfield, Yuri Michael - 2000

Persistent link: https://www.econbiz.de/10001667458

Optimal Hedge Ratios in the Presence of Common Jumps

Chan, Wing H. - 2009

spot and futures rates. A dynamic hedging strategy based on a bivariate GARCH model augmented with a common jump component … rates. The out-of-sample hedging exercises show that optimal hedge ratios which incorporate information from common jump …

Persistent link: https://www.econbiz.de/10013158084

Optimal foreign exchange hedge tenor with liquidity risk

Zhang, Rongju; Aarons, Mark; Loeper, Gregoire - In: Journal of risk 23 (2020/2021) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10012500295

Hedging exchange rate risk in the gold market : a panel data analysis

Wang, Kuan Min; Lee, Yuan-Ming - In: Journal of multinational financial management 35 (2016), pp. 1-23

Persistent link: https://www.econbiz.de/10011719959

Dynamic global currency hedging

Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - In: Journal of financial econometrics 19 (2021) 1, pp. 97-127

Persistent link: https://www.econbiz.de/10012504315

Foreign Exchange Market Efficiency, Speculators, Arbitrageurs and International Capital Flows

Nguyen, Tin - 2001

The foreign exchange market efficiency hypothesis is the proposition that prices fully reflect information available to market participants, i.e. hedged interest-arbitrageurs and speculators, and there are no opportunities for the hedgers or the speculators to make super-normal profits, i.e....

Persistent link: https://www.econbiz.de/10014148741

Welfare Effects of Transparency in Foreign Exchange Markets : The Role of Hedging Opportunities

Drees, Burkhard; Eckwert, Bernhard - 2003

The paper studies the impact of more transparency on the risk-sharing opportunities in the foreign exchange market and the associated implications on welfare. Transparency is measured in this model by the informational content of publicly observable signals about exchange rate developments. The...

Persistent link: https://www.econbiz.de/10014076984